Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero

DOI10.1016/J.SPA.2007.01.001zbMATH Open1116.62025OpenAlexW1968645329MaRDI QIDQ2642035FDOQ2642035

Authors: C. Francq, Jean-Michel Zakoïan 

Publication date: 20 August 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.01.001

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zbMATH Keywords

conditional heteroskedasticityquasi-maximum likelihood estimationGARCH modelboundary of the parameter spacenon-normal asymptotic distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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Cited In (41)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Parameter estimation in nonlinear AR-GARCH models
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
• Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
• Tests for volatility shifts in GARCH against long-range dependence
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
• A Tour in the Asymptotic Theory of GARCH Estimation
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS
• Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
• Exponential control of the trajectories of iterated function systems with application to semi-strong GARCH models
• Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
• Strict stationarity testing and GLAD estimation of double autoregressive models
• Inference for asymmetric exponentially weighted moving average models
• QMLE for periodic time-varying asymmetric log GARCH models
• Size distortion in the analysis of volatility and covolatility effects
• Integer-valued asymmetric GARCH modeling
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• On dynamics of volatilities in nonstationary GARCH models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
• Estimation in a class of nonlinear heteroscedastic time series models
• RANK-BASED ESTIMATION FOR GARCH PROCESSES
• Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows
• On asymptotic theory for multivariate GARCH models
• Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
• Ai algorithms for fitting GARCH parameters to empirical financial data
• Conditional asymmetry in power ARCH\((\infty)\) models
• Standard Laplace quasi-maximum likelihood estimator for GARCH processes
• Asymptotic theory for QMLE for the real-time GARCH\((1,1)\) model
• Inference and testing on the boundary in extended constant conditional correlation GARCH models
• Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
• The ZD-GARCH model: a new way to study heteroscedasticity
• Testing for misspecification in the short-run component of GARCH-type models
• Testing GARCH-X type models
• Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
• QML inference for volatility models with covariates
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• QML estimation of a class of multivariate asymmetric GARCH models

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